greeks.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- *//* Copyright (C) 2005 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email <quantlib-dev@lists.sf.net>. The license is also available online at <http://quantlib.org/reference/license.html>. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.*/#include <ql/PricingEngines/greeks.hpp>#include <ql/Processes/blackscholesprocess.hpp>namespace QuantLib {
Real blackScholesTheta(const boost::shared_ptr<StochasticProcess>& p,
Real value, Real delta, Real gamma) {
boost::shared_ptr<BlackScholesProcess> process =
boost::dynamic_pointer_cast<BlackScholesProcess>(p);
if (!process) {
// this calculation doesn't applyreturn Null<Real>();
}
Real u = process->stateVariable()->value();
Rate r = process->riskFreeRate()->zeroRate(0.0, Continuous);
Rate q = process->dividendYield()->zeroRate(0.0, Continuous);
Volatility v = process->localVolatility()->localVol(0.0, u);
return r*value -(r-q)*u*delta - 0.5*v*v*u*u*gamma;
}
Real defaultThetaPerDay(Real theta) {
return theta/365.0;
}
}